Clarus Financial Technology

What’s New in CCP Disclosures – 3Q23?

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures:

Background

Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more.

CCPView has 8 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep 2015 to 30 Sep 2023. This disclosure data provides insights into trends over time at one CCP and comparisons between CCPs.

Let’s take a look at the latest disclosures.

Initial Margin for IRS

IM at major IRS CCPs (usd billions)

Total IM for IRS at $283 billion continues the down trend from record high on 31-Mar-2023. Every CCP is down QoQ, except for JSCC, while Eurex is down significantly more than others at -38% from the prior quarter.

Initial Margin for CDS

IM at major CDS CCPs (usd billions)

LCH CDSClear increasing significantly QoQ and YoY, while IM at ICE Europe Credit is almost gone as it shuts down in October 2023.

Initial Margin for ETD

IM at selected ETD CCPs (usd billions)

IM at all CCPs is down QoQ and YoY, except for JSCC, which is up 44% YoY.

Other Disclosures of Interest

Next let’s do a quick scan of 29-Sep-23 disclosures, highlighting those with significant changes.

There are a lot more Clearing Services and Disclosures but I will stop there and leave it to those of you with your own CCPView access to analyze further changes.

As well as a Web UI, we also offer an API to programatically access this data.

IOSCO Quantitative Disclosures

CCPView has disclosures from 44 Clearing Houses, each with many Clearing Services, covering Equities, Bonds, Futures, Options and OTC Derivatives with over 200 quantitative data fields each quarter and quarterly figures from September 2015 to September 2023.

If you are interested in this data, please get in touch.

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